Showing 1 - 2 of 2
This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...
Persistent link: https://www.econbiz.de/10010288998
Persistent link: https://www.econbiz.de/10011438894